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Cointegration in large VARs

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Publication:6343699

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DOI10.1214/21-AOS2164arXiv2006.14179MaRDI QIDQ6343699

Anna Bykhovskaya, Vadim Gorin

Publication date: 25 June 2020

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Non-Markovian processes: hypothesis testing (62M07)

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